Childbearing decreases HDL-cholesterol, potentially contributing to the increased risk of CVD in parous women. Large HDL particles (HDL-P) are associated with lower risk of CVD. In this secondary analysis of a randomised controlled trial, we investigated the effects of 12-week dietary and exercise treatments on HDL-P subclass concentration, size and apoA1 in lactating women with overweight/obesity. At 10–14 weeks postpartum, 68 women with pre-pregnant BMI 25–35 kg/m2 were randomised to four groups using 2 × 2 factorial design: (1) dietary treatment for weight loss; (2) exercise treatment; (3) both treatments and (4) no treatment. Lipoprotein subclass profiling by NMR spectroscopy was performed in serum at randomisation and after 3 and 12 months, and the results analysed with two-way ANCOVA. Lipid concentrations decline naturally postpartum. At 3 months (5–6 months postpartum), both diet (P = 0·003) and exercise (P = 0·008) reduced small HDL-P concentration. Concurrently, exercise limited the decline in very large HDL-P (P = 0·002) and the effect was still significant at 12 months (15 months postpartum) (P = 0·041). At 12 months, diet limited the decline in very large HDL-P (P = 0·005), large HDL-P (P = 0·001) and apoA1 (P = 0·002) as well as HDL size (P = 0·002). The dietary treatment for weight loss and the exercise treatment both showed effects on HDL-P subclasses in lactating women with overweight and obesity possibly associated with lower CVD risk. The dietary treatment had more effects than the exercise treatment at 12 months, likely associated with a 10 % weight loss.